-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, TXEbcpqFf3yykJ2e4tN9Ya4wnUgHwrFoCQXb1R9yN5FV7F+gopWTkhUjX7Be4p7A VUbWjvnkdw0MzP3Xqn215Q== 0001104659-07-059333.txt : 20070807 0001104659-07-059333.hdr.sgml : 20070807 20070806215029 ACCESSION NUMBER: 0001104659-07-059333 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 9 FILED AS OF DATE: 20070807 DATE AS OF CHANGE: 20070806 SUBJECT COMPANY: COMPANY DATA: COMPANY CONFORMED NAME: LEHMAN BROTHERS HOLDINGS INC CENTRAL INDEX KEY: 0000806085 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 133216325 STATE OF INCORPORATION: DE FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: FWP SEC ACT: 1934 Act SEC FILE NUMBER: 333-134553 FILM NUMBER: 071029506 BUSINESS ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 2125267000 MAIL ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 FORMER COMPANY: FORMER CONFORMED NAME: SHEARSON LEHMAN HUTTON HOLDINGS INC DATE OF NAME CHANGE: 19901017 FILED BY: COMPANY DATA: COMPANY CONFORMED NAME: LEHMAN BROTHERS HOLDINGS INC CENTRAL INDEX KEY: 0000806085 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 133216325 STATE OF INCORPORATION: DE FISCAL YEAR END: 1130 FILING VALUES: FORM TYPE: FWP BUSINESS ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 BUSINESS PHONE: 2125267000 MAIL ADDRESS: STREET 1: LEHMAN BROTHERS STREET 2: 745 SEVENTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10019 FORMER COMPANY: FORMER CONFORMED NAME: SHEARSON LEHMAN HUTTON HOLDINGS INC DATE OF NAME CHANGE: 19901017 FWP 1 a07-20842_17fwp.htm FWP

Filed Pursuant to Rule 433
Registration No. 333-134553

FX Basket-Linked Note

“High Yield Digital Basket with Monthly Accrual”

Preliminary Terms and Conditions

 

August 6, 2007


Contact: + 1 212 526 2237


Lehman Brothers Holdings Inc. has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (SEC) for this offering. Before you invest, you should read the prospectus dated May 30, 2006, the prospectus supplement dated May 30, 2006 for its Medium Term Notes, Series I, and other documents Lehman Brothers Holdings Inc. has filed with the SEC for more complete information about Lehman Brothers Holdings Inc. and this offering.  Buyers should rely upon the prospectus, prospectus supplement and any relevant free writing prospectus for complete details.  You may get these documents and other documents Lehman Brothers Holdings Inc. has filed for free by searching the SEC online database (EDGAR®) at www.sec.gov with “Lehman Brothers Holdings Inc.” as a search term. You may also access the prospectus and Series I MTN prospectus supplement on the SEC web site as follows:

Series I MTN prospectus supplement dated May 30, 2006:
http://www.sec.gov/Archives/edgar/data/806085/000104746906007785/a2170815z424b2.htm

Prospectus dated May 30, 2006:
http://www.sec.gov/Archives/edgar/data/806085/000104746906007771/a2165526zs-3asr.htm

Alternatively, Lehman Brothers Inc. will arrange to send you the prospectus, Series I MTN prospectus supplement and final pricing supplement (when completed) if you request it by calling your Lehman Brothers sales representative or 1-888-603-5847.


Summary Description

This note allows an investor to hold via a single basket a long position in the Brazilian Real (BRL), Malaysian Ringgit (MYR), Indonesian Rupiah (IDR) and Philippine Peso (PHP) (collectively, the Reference Currencies) in each case relative to the U.S. Dollar (USD).  An investor will receive a single payment on the Maturity Date equal to the principal amount of the notes plus an Additional Amount equal to the principal amount of the notes multiplied by the product of (a) the specified Coupon and (b) a quotient equal to the number of monthly Valuation Dates prior to the Maturity Date on which the Basket Return is greater than zero divided by the total number of such monthly Valuation Dates.  In effect, the investor will accrue the Coupon for each monthly Valuation Date on which the Basket Return (which is in turn determined based on the aggregate appreciation or depreciation of the Reference Currencies relative to the USD) is greater than zero, while no Coupon will accrue for any Valuation Date on which the Basket Return is equal to or less than zero.  The investor will receive the maximum Coupon if the Basket Return is greater than zero on each Valuation Date.  Conversely, if the Basket Return is equal to or less than zero on every Valuation Date, no Coupon will be accrued and the Additional Amount will be zero, resulting in the investor receiving on the Maturity Date only the principal amount of the notes, with no additional return.  The notes do not pay interest other than the Additional Amount payable on the Maturity Date and are 100% principal protected if held to maturity.

 

 

 

Issuer

 

Lehman Brothers Holdings Inc. (A1, A+, AA–)

Issue Size

 

USD [TBD]

Principal Protection

 

100%

Trade Date

 

August [28], 2007

Issue Date

 

August [31], 2007

Valuation Dates

 

The 28th day of each month from and including September 28, 2007, to and including February 28, 2009, or if any such day is not a Valuation Business Day, the immediately preceding Valuation Business Day; provided that, upon the occurrence of a Disruption Event on a Valuation Date, that Valuation Date may be postponed (as described under “Disruption Events” below)

 




 

 

 

Maturity Date

 

March 4, 2009

Reference Currencies

 

Brazilian Real (BRL), Malaysian Ringgit (MYR), Indonesian Rupiah (IDR) and Philippine Peso (PHP)

Reference Exchange Rate

 

The spot exchange rate for each of the Reference Currencies quoted against the U.S. dollar, expressed as the number of units of the Reference Currency per USD 1.

Settlement Rates

 

The Reference Exchange Rates for each Reference Currency on the relevant Valuation Date, determined in accordance with the applicable Settlement Rate Option (subject to the occurrence of a Disruption Event).

Coupon

 

[12.6%]

Redemption Amount

 

A single U.S. dollar payment on the Maturity Date equal to the principal amount of each note plus the Additional Amount, if any

Additional Amount

 

A single USD payment on the Maturity Date equal to the principal amount of each note multiplied by:

 

 

Coupon * (n/N)

 

 

Where

 

 

n = number of Valuation Dates on which the Basket Return is greater than zero

 

 

N = [18], the total number of Valuation Dates

 

 

For purposes of calculating the Additional Amount, the quotient of n divided by N will be expressed as a percentage rounded to two decimal places.

Basket Return

 

For each Valuation Date, the sum of the Weighted Currency Returns on such Valuation Date.

Weighted Currency Returns

 

On each Valuation Date, for each Reference Currency:

 

 

Weighting *

 

{

 

Initial Reference Currency Rate – Settlement Rate

 

}

 

 

 

 

Settlement Rate

 

Weightings and Initial

 

The Initial Currency Amount for each Reference Currency is as set forth below:

Reference Currency

 

 

Rates

 

Reference Currency

 

Weighting

 

Initial Reference Currency Rate

 

 

BRL

 

25%

 

[TBD]

 

 

MYR

 

25%

 

[TBD]

 

 

IDR

 

25%

 

[TBD]

 

 

PHP

 

25%

 

[TBD]

 

 

 

 

 

 

 

 

 

The Initial Currency Rate for each Reference Currency is the Reference Exchange Rate for that Reference Currency determined by the Calculation Agent on the Trade Date in accordance with the applicable Settlement Rate Option.

 

 




 

 

 

Settlement Rate Option

 

For each Reference Currency as set forth below:

and Valuation Business

 

 

 

 

 

 

Day

 

Reference Currency

 

Screen Reference

 

Valuation Business Day

 

 

BRL

 

BRFR

 

Brazilia, Rio de Janiero or São Paulo

 

 

MYR

 

ABSIRFIX01

 

Singapore

 

 

IDR

 

ABSIRFIX01

 

Singapore

 

 

PHP

 

PDSPESO (as successor to PHPESO)

 

Manila

 

 

 

 

 

 

 

 

 

For further information concerning the Settlement Rate Option and Valuation Business Day, see “Description of the Notes—Currency-Indexed Notes” in, and Appendix A to, the Series I MTN prospectus supplement.

Business Day

 

New York

Business Day Convention

 

Following

Disruption Events

 

If a Disruption Event relating to one or more Reference Currencies is in effect on a scheduled Valuation Date, the Calculation Agent will calculate the Basket Return for such Valuation Date using:

 

 

 

 

 

 

 

·

 

for each Reference Currency that did not suffer a Disruption Event on that scheduled Valuation Date, the Settlement Rate on that scheduled Valuation Date, and

 

 

 

 

 

 

 

·

 

for each Reference Currency that did suffer a Disruption Event on that scheduled Valuation Date, the Settlement Rate on the immediately succeeding scheduled Valuation Business Day for such Reference Currency on which no Disruption Event occurs or is continuing with respect to such Reference Currency;

 

 

 

 

 

provided however that if a Disruption Event has occurred or is continuing with respect to a Reference Currency on each of the three scheduled Valuation Business Days following a scheduled Valuation Date, then (a) such third scheduled Valuation Business Day shall be deemed the applicable Valuation Date for the affected Reference Currency; and (b) the Calculation Agent will determine the Settlement Rate for the affected Reference Currency on such deemed Valuation Date in accordance with “Fallback Rate Observation Methodology” (as defined under “Description of the Notes—Currency-Indexed Notes” in the prospectus supplement dated May 30, 2006, for the issuer’s Medium Term Notes, Series I).

 

 

 

 

 

A “Disruption Event” means any of the following events with respect to a Reference Currency, as determined in good faith by the Calculation Agent:

 

 

 

 

 

 

 

(A)

 

the occurrence and/or existence of an event on any day that has the effect of preventing or making impossible the delivery of USD from accounts inside the Reference Currency Jurisdiction for that Reference Currency to accounts outside that Reference Currency Jurisdiction;

 

 

 

 

 

 

 

(B)

 

the occurrence of any event causing the Reference Exchange Rate for the Reference Currency to be split into dual or multiple currency exchange rates; or

 

 

 

 

 

 

 

(C)

 

the Settlement Rate being unavailable for the Reference Currency, or the occurrence of an event (i) in the Reference Currency Jurisdiction for that Reference Currency that materially disrupts the market for the Reference Currency or (ii) that generally makes it impossible to obtain the Settlement Rate for the Reference Currency, on the applicable Valuation Date.

 

 

 

 

 

For purposes of the above, “scheduled Valuation Business Day” means a day that is or, in the

 

 

 

 




 

 

judgment of the Calculation Agent, should have been, a Valuation Business Day for the affected Reference Currency.

Calculation Agent

 

Lehman Brothers Inc.

Underwriter

 

Lehman Brothers Inc.

Identifier

 

CUSIP: 52517P3N9

 

 

ISIN: US52517P3N90

Settlement System

 

DTC

Denominations

 

USD 1,000 and whole multiples of USD 1,000

Issue Type

 

US MTN

Fees:

 

 

 

Price to Public (1)(2)

 

Fees (3)

 

Proceeds to the Issuer

 

 

Per note

 

$1,000

 

$10.00

 

$990.00

 

 

Total

 

 

 

 

 

 

 

 

(1)

 

We are offering the notes to certain fiduciary accounts at variable prices of between $990 and $1,000 per note pursuant to one or more negotiated transactions, and Lehman Brothers Inc., with respect to any sales made to such accounts, will forego all or a portion of its fees. Lehman Brothers Inc. will offer the notes to all other purchasers at a purchase price of $1000 per note. Lehman Brothers Inc. may pay selling concessions or fees to other dealers not in excess of $10 per note.

 

 

 

 

 

 

 

(2)

 

The price to public includes the cost of hedging our obligations under the notes through one or more of our affiliates, which includes our affiliates’ expected cost of providing such hedge as well as the profit our affiliates expect to realize in consideration for assuming the risks inherent in providing such hedge.

 

 

 

 

 

 

 

(3)

 

Lehman Brothers Inc. and/or an affiliate may earn additional income as a result of payments pursuant to the hedges

 

Risk Factors

An investment in the notes entails certain risks not associated with an investment in conventional floating rate or fixed rate medium-term notes.  See “Risk Factors” generally, and “Risk Factors—Risks Relating to Currency-Indexed Notes” specifically, in the Series I MTN prospectus supplement.

United States Federal Income Tax Treatment

Lehman Brothers Holdings Inc. intends to treat the notes as contingent payment debt instruments, as described under “Supplemental United States Federal Income Tax Consequences—Contingent Payment Debt Instruments” in the Series I MTN prospectus supplement.

 




Historical Exchange Rates

The following charts show the spot exchange rates for each Reference Currency at the end of each week in the period from the week ending August 1, 2004 through the week ending August 5, 2007, using historical data obtained from Reuters; neither Lehman Brothers Inc. nor Lehman Brothers Holdings Inc. makes any representation or warranty as to the accuracy or completeness of this data.  The spot exchange rates are expressed as the amount of U.S. dollars per Reference Currency to show the appreciation or depreciation, as the case may be, of the Reference Currency against the U.S. dollar. The spot exchange rates used to calculate the Basket Return are expressed as the amount of Reference Currency per U.S. dollar, which are the inverse of the spot exchange rates presented in the following charts.  The historical data on each Reference Currency is not necessarily indicative of the future performance of the Reference Currencies, the Basket Return or what the Value of the notes may be. Fluctuations in exchange rates make it difficult to predict whether the Additional Amount will be payable at maturity, or what that Additional Amount, if any, may be.  Historical exchange rate fluctuations may be greater or lesser than those experienced by the holders of the notes.







Hypothetical Historical Basket Return

The following chart shows the hypothetical Basket Return at the end of each week in the period from the week ending August 1, 2004 through the week ending August 5, 2007, based on the hypothetical composite performance of the Reference Currencies using data obtained from Reuters; neither Lehman Brothers Inc. nor Lehman Brothers Holdings Inc. makes any representation or warranty as to the accuracy or completeness of this data.  The Basket Return was indexed to a level of 0.0 on August 6, 2007, based upon Initial Reference Currency Rates determined on that day.  The composite value of the Reference Currencies on any prior day was obtained by using the calculation of the Basket Return described above. Spot exchange rates used in this determination are expressed as the number of units of Reference Currency per U.S. dollar.  For purposes of the notes and the determination of the Additional Amount, the Basket Return will be indexed to 0.0 on the Trade Date.

 




 

Hypothetical Redemption Amount Payment Examples

The following payment examples for this note shows scenarios for the Redemption Amount per $1,000 note payable on the Maturity Date.  An investor will receive a single payment on the Maturity Date equal to the principal amount of the notes plus an Additional Amount equal to the principal amount of the notes multiplied by the product of (a) the specified Coupon and (b) a quotient equal to the number of monthly Valuation Dates prior to the Maturity Date on which the Basket Return is greater than zero divided by the total number of such monthly Valuation DatesIn effect, the investor will accrue the Coupon for each monthly Valuation Date on which the Basket Return (which is in turn determined based on the aggregate appreciation or depreciation of the Reference Currencies relative to the USD) is greater than zero, while no Coupon will accrue for any Valuation Date on which the Basket Return is equal to or less than zero.  The following examples assume 18 total Valuation Dates (N =18) prior to the Maturity Date and a hypothetical Coupon of 12.6%  The actual maximum potential Coupon for the notes will be determined on the Trade Date, as will the frequency of (and therefore the total number of) Valuation Dates.  The notes do not pay interest other than the Additional Amount payable on the Maturity Date.

Number of Valuation
Dates (n) on which the
Basket Return is
greater than zero

 

Coupon * (n/N)

 

Additional Amount
[$1000 * Coupon * (n/N)]

 

Redemption Amount

0

 

0.00%

 

$0

 

$1,000

1

 

0.70%

 

$7

 

$1,007

2

 

1.40%

 

$14

 

$1,014

3

 

2.10%

 

$21

 

$1,021

4

 

2.80%

 

$28

 

$1,028

5

 

3.50%

 

$35

 

$1,035

6

 

4.20%

 

$42

 

$1,042

7

 

4.90%

 

$49

 

$1,049

8

 

5.60%

 

$56

 

$1,056

9

 

6.30%

 

$63

 

$1,063

10

 

7.00%

 

$70

 

$1,070

11

 

7.70%

 

$77

 

$1,077

12

 

8.40%

 

$84

 

$1,084

13

 

9.10%

 

$91

 

$1,091

14

 

9.80%

 

$98

 

$1,098

15

 

10.50%

 

$105

 

$1,105

16

 

11.20%

 

$112

 

$1,112

17

 

11.90%

 

$119

 

$1,119

18

 

12.60%

 

$126

 

$1,126

 

As further described above, the Additional Amount payable on the note on the Maturity Date will be determined by the number of Valuation Dates prior to the Maturity Date on which the Basket Return, determined on such Valuation Dates, is greater than zero.  The following examples illustrate how the Basket Return will be determined on a given Valuation Date.  These examples assume hypothetical values for the Initial Reference Currency Rates for the Reference Currencies (each of which will be determined on the Trade Date) and for their Settlement Rates, and the resulting Basket Return, on the given Valuation Date (the Settlement Rates and Basket Returns will be determined separately on each Valuation Date).  The Initial Reference Currency Rate and Settlement Rate values for the Reference Currencies have been chosen arbitrarily for the purpose of these examples, are not associated with Lehman Brothers Research forecasts for any Reference Currency/USD exchange rates and should not be taken as indicative of the future performance of any Reference Currency/USD exchange rate.

 




 

Example 1: BRL, MYR, IDR and PHP each appreciate relative to their Initial Currency Rates, resulting in a Basket Return of 0.0852.

Reference
Currency

 

Weighting

 

Initial Reference
Currency Rate
(on Trade Date)

 

Settlement Rate
(on Valuation Date)

 

Weighted Currency
Return

 

BRL

 

25%

 

1.9280

 

1.8123

 

0.0160

 

MYR

 

25%

 

3.4650

 

3.1532

 

0.0247

 

IDR

 

25%

 

9075

 

7986

 

0.0341

 

PHP

 

25%

 

46.30

 

44.45

 

0.0104

 

Basket Return = Sum of Weighted Currency Returns =

 

0.0852

 

 

Example 2: BRL, MYR, IDR and PHP each depreciate relative to their Initial Currency Rates, resulting in a Basket Return of 0.0452.

Reference
Currency

 

Weighting

 

Initial Reference
Currency Rate
(on Trade Date)

 

Settlement Rate 
(on Valuation Date)

 

Weighted Currency
Return

 

BRL

 

25%

 

1.9280

 

2.0051

 

–0.0096

 

MYR

 

25%

 

3.4650

 

3.5690

 

–0.0073

 

IDR

 

25%

 

9075

 

9529

 

–0.0119

 

PHP

 

25%

 

46.30

 

49.54

 

–0.0164

 

Basket Return = Sum of Weighted Currency Returns =

 

0.0452

 

 

Example 3: BRL and MYR each appreciate relative to their Initial Currency Rates while IDR and PHP each depreciate relative to their Initial Currency Rates, resulting in a Basket Return of 0.0179.

Reference
Currency

 

Weighting

 

Initial Reference
Currency Rate 
(on Trade Date)

 

Settlement Rate 
(on Valuation Date)

 

Weighted Currency
Return

 

BRL

 

25%

 

1.9280

 

1.7352

 

0.0278

 

MYR

 

25%

 

3.4650

 

3.2571

 

0.0160

 

IDR

 

25%

 

9075

 

9801

 

–0.0185

 

PHP

 

25%

 

46.30

 

47.69

 

–0.0073

 

Basket Return = Sum of Weighted Currency Returns =

 

0.0179

 

 

 




 

Example 4: BRL, MYR each depreciate relative to their Initial Currency Rates while IDR and PHP each appreciate relative to their Initial Currency Rates, resulting in a Basket Return of 0.0096.

Reference
Currency

 

Weighting

 

Initial Reference
Currency Rate 
(on Trade Date)

 

Settlement Rate 
(on Valuation Date)

 

Weighted Currency
Return

 

BRL

 

25%

 

1.9280

 

2.1979

 

–0.0307

 

MYR

 

25%

 

3.4650

 

3.9501

 

–0.0307

 

IDR

 

25%

 

9075

 

8803

 

0.0077

 

PHP

 

25%

 

46.30

 

39.36

 

0.0441

 

Basket Return = Sum of Weighted Currency Returns =

 

0.0096

 

 

 



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-----END PRIVACY-ENHANCED MESSAGE-----